Definition
Delta measures how much an option's price is expected to change for every one-dollar move in the underlying stock. It is the first and most intuitive of the options Greeks. A call option with a delta of 0.60 will gain roughly $0.60 in premium if the stock rises by $1, and lose roughly $0.60 if the stock falls by $1. A put with a delta of −0.40 gains $0.40 when the stock falls by $1.
Delta lives on a bounded scale. Calls range from 0 (deep out-of-the-money, no sensitivity) to +1.0 (deep in-the-money, moves dollar-for-dollar with the stock). Puts range from 0 to −1.0 in the mirror direction. At-the-money options sit near ±0.50 — the strike is exactly even with the stock price and the option behaves like half a share.
A useful second interpretation: delta approximates the probability the option will expire in-the-money. A 0.30-delta call has roughly a 30% chance of finishing above the strike at expiration. Traders use this directly when sizing positions, choosing strikes, and reading the market's implied odds.
Why it matters
How delta shifts across the lifecycle
Using delta to choose strikes
Selling a 0.30-delta put gives you roughly a 70% probability of keeping the premium. Buying a 0.70-delta call gives you stock-like exposure with capital efficiency. Many systematic options strategies are defined entirely by delta targets — "sell the 0.16-delta strangle" is a complete, executable instruction once an underlying and expiration are chosen.